GBP/USD: volatility risk premium to record levels - Nomura

Analysts at Nomura explained that global equities have declined this week, as risk aversion on the UK referendum takes hold, despite a more dovish Fed.

Key Quotes:

"Volatility risk premium (implied vol minus realised vol) has shot up in GBP/USD to levels not seen before, and in European stock markets volatility risk premium is similar to what occurred during the various euro crises in 2010 and 2012.

Whatever the outcome, it is unlikely to come as a complete surprise to markets and any bouts of broader market risk aversion will likely be short-lived.

Shortterm volatility on the day/night of the referendum will likely be high—see our guide to trading the referendum here. We also think the SNB would be ready to intervene on a Brexit vote (though this outcome is not our base case)."